Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by -stable Lévy processes

DOI10.3150/12-BEJ485MaRDI QIDQ2444668zbMATH OpenFDO

Authors Robert Hintze, Ilya Pavlyukevich

Publication date 10 April 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.6116, https://projecteuclid.org/euclid.bj/1390407289

zbMATH Keywords

\(\alpha\)-stable Lévy processesabsolutely continuous approximationsfirst passage timesintegrated Ornstein-Uhlenbeck processesSkorokhod M1-topologysmall noise asymptotics

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we study the asymptotic behaviour of one-dimensional integrated Ornstein-Uhlenbeck processes driven by $alpha$-stable L'{e}vy processes of small amplitude. We prove that the integrated Ornstein-Uhlenbeck process converges weakly to the underlying $alpha$-stable L'{e}vy process in the Skorokhod $M_1$-topology which secures the weak convergence of first passage times. This result follows from a more general result about approximations of an arbitrary L'{e}vy process by continuous integrated Ornstein-Uhlenbeck processes in the $M_1$-topology.

Review text

This paper proves the convergence, after rescaling, of the first passage times of an integrated stable Ornstein-Uhlenbeck process starting at zero with zero velocity, towards the first passage times of the background driving stable Lévy process. This generalizes a well-known result in the Brownian case. Since the driving process is discontinuous and the integrated Ornstein-Uhlenbeck process is continuous, the uniform topology or the classical Skorokhod topology are not appropriate to this framework and the authors use the less classical M1-topology. The main result is Theorem 3.1 in the general context of real Lévy processes, which is a nice limit theorem in the M1-topology.

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Cited in

(8)

• Strong approximation rate for Wiener process by fast oscillating integrated Ornstein-Uhlenbeck processes
• A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale
• A Wong-Zakai approximation for random slow manifolds with application to parameter estimation
• Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise
• Random acceleration process on finite intervals under stochastic restarting
• Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces
• Approximations of Lévy processes by integrated fast oscillating Ornstein–Uhlenbeck processes
• Inertial Lévy flights in bounded domains

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